chart.RiskReturnScatter: scatter chart of returns vs risk for comparing multiple instruments

Description

A wrapper to create a scatter chart of annualized returns versus annualized risk (standard deviation) for comparing manager performance. Also puts a box plot into the margins to help identify the relative performance quartile.

Usage

chart.RiskReturnScatter(R, rf = 0, main = "Annualized Return and Risk", add.names = TRUE, xlab = "Annualized Risk", ylab = "Annualized Return", method = "calc", add.sharpe = c(1, 2, 3), add.boxplots = FALSE, colorset = 1, symbolset = 1, darken = FALSE, legend.loc = NULL, xlim = NULL, ylim = NULL, ...)

Arguments

a vector, matrix, data frame, timeSeries or zoo object of asset returns

risk free rate, in same period as your returns

main

set the chart title, same as in plot

add.names

plots the row name with the data point. default TRUE. Can be removed by setting it to NULL

xlab

set the x-axis label, as in plot

ylab

set the y-axis label, as in plot

method

Used to select the risk parameter to use in the chart.BarVaR. May be any of: modVaR - uses CF modified VaR VaR - uses traditional Value at Risk StdDev - monthly standard deviation of trailing 12 month returns

add.sharpe

this draws a Sharpe ratio line that indicates Sharpe ratio levels of c(1,2,3). Lines are drawn with a y-intercept of the risk free rate and the slope of the appropriate Sharpe ratio level. Lines should be removed where not appropriate (e.g.

add.boxplots

TRUE/FALSE adds a boxplot summary of the data on the axis

colorset

color palette to use, set by default to rational choices

symbolset

from pch in plot, submit a set of symbols to be used in the same order as the data sets submitted

darken

if true, draws the chart elements in "darkgray" rather than "gray". Makes it easier to print for some printers.

legend.loc

places a legend into one of nine locations on the chart: bottomright, bottom, bottomleft, left, topleft, top, topright, right, or center.

xlim

set the x-axis limit, same as in plot

ylim

set the y-axis limit, same as in plot

...

any other passthru parameters

Value

scatter chart with Return on one axis and some Risk measure on the other axis

Examples

Run this code

data(edhec)
chart.RiskReturnScatter(edhec, rf = .04/12)
chart.RiskReturnScatter(edhec, rf = .04/12, add.boxplots = TRUE)

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